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We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …
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We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …
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euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing … take a risk management perspective, One exercise considers the intertemporal financial stability trade-off in the context …
Persistent link: https://www.econbiz.de/10014343148
We construct new measures of uncertainty about Federal Reserve policy actions and their consequences - monetary policy … uncertainty (MPU) indexes. We show that, under a variety of VAR identification schemes, positive shocks to uncertainty about …. Our analysis suggests that policy rate normalization that is accompanied by reduced uncertainty can help neutralize the …
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